Senior Quantitative Risk Manager - Commodities

This is a senior traders facing role and will be in charge of quite a set of advanced tasks. This position will play a leading role in advanced modelling to support hedging activities, and collaborates and shares information with global market risk members and other functions. Also, periodically communication and presentation to senior management is expected.

*This position is required to be in the office 4 days a week and will sit in Wilton, CT**

Responsibilities:

25%: Reporting and risk control

• review positions and strategies, make sure prices and positions aligned properly by MO.
• dissect reported p&l in alignment with pnl related to position and pnl not related to positions (eg: crushing margin mark-to-market and mtm reverse, timing adjustment etc.).
• support desks with VaR analysis for the following riskboxes: Asset Canada, Asset US, and US parts of global product lines.

15%: communication & presentation

• Communicate regularly to larger market risk team on market and positions risks update.

15%: Industry knowledge and analysis

• Follow regional S&D with emphasis on crush and crack / biodiesel / renewable industries in the Americas.
• Report and discuss with platform risk manager regularly on market updates in order to refine market analysis.

50%: Risk modeling and analysis with emphasis on CBOT products and US/SoAm cash markets

Support platform risk manager, in collaboration with risk system team to carry out the following activities in order to support commercial hedging strategies:

• Update / refine / expand non-deterministic fundamental price modeling using ensemble weather data.
• Evaluate option implied volatilities to identify optimal option hedging opportunity.
• Improve existing analysis on basis hedge strategies.
• Model cross products/ relative value strategies.
• Apply asset / real option analysis from an existing tool to better understand existing assets risks while supporting M&A and G&O Strategy on asset valuations (e.g.: US soybeans and canola crush plants).

Requirements

• 5-7 years experience in similar role
• Masters Degree preferred in engineering, physics or mathematics
• Strong understanding of non-deterministic modeling and risk valuation methodologies.
• Commodities experience, preferably in grains and oilseeds market (or other agriculture products)
• Python experience required
• Options experience required

Preferred Qualifications:

• Familiar with trading platforms (Bloomberg, Reuters, or ICE)
• Familiar with SaS, Azure, Data Brick
• Real options analysis